Asset Prices When Investors Underestimate Discount Rate Dynamics
研究发现分析师预测的贴现率波动低于CAPM基准，这种低估导致资产定价异常，并解释了12个著名异象，为分析师预测误差和横截面收益可预测性提供了统一解释。
Abstract Underestimating discount rate volatility leads to asset pricing anomalies. Using analysts’ return forecasts as proxies for subjective discount rates, I show that these forecasts exhibit systematically lower volatility than CAPM-based benchmarks, whose objective fluctuations negatively predict future returns, especially for high beta-volatility stocks. A misvaluation measure based on this underestimation significantly predicts cross-sectional CAPM alphas, while a tradable factor explains 12 prominent anomalies. These findings underscore discount rate volatility underestimation as a unifying explanation for analysts’ forecast errors and cross-sectional return predictability, linking recent evidence on aggregate subjective belief dynamics with firm-level mispricing.